There is very little info on testing these sensors so thought i would put a guide here...
You need a digital multimeter, not
an analogue one which could damage sensor
An osilloscope would be perfect but far too expensive to buy for testing this (garages might have one).
Also you will need an extra pair of multiplugs (male and female type) which you can get at a breakers - with this you will make up a short cable allowing you to take a measurement from the wires without the need to cut up your existing wires.
Do not use a analogue meter, it needs to be a digital voltmeter. Using analogue could damage the sensor.
to ecu_______ to sensor
first make a cable like this, so the 4 wires have a measuring point.
Disconnect the lambda but dont start the engine - measure each 4 wires to ground (chasis) from the car multi plug (not lambda) to work out which is +12v which is for the heater. do not connect multimeter to this.
Then you have 3 wires (ground, + sensor, - sensor) which you then connect to voltmeter (0-1v scale)
Connect the lambda multiplug back, and start engine.
it will read 0v (or very close to) untill the sensor is warmed up to 600c, give it 3-5 minutes at 2500rpm before connecting voltmeter. You might need to give it a lot longer (took me several attempts before I found out which way heats it up the best), then try the 3 wires untill you find out which are - and + sensor.
the reading should be around 0.5v (perfect fueling) but it will change very quickly as the engine alters the fuel ratio for each burn.
If it doesnt change, (stuck at 0.0v), then either not heated up, wrong wires (ie. ground and one of the sensor wires), or sensor is dead.
If its stuck at any other voltage than 0.0, (between 0.1-1v) then there is a ecu/fueling problem.
If the reading changes very slowly, it could be the sensor, but more likely to be your multimeter - try a different one.
Edit: just to add, I visitred breakers today for some other parts. I got connectors off one SI, Ãƒâ€šÃ‚Â£3 including a steatbelt part